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Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility
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References

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  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
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  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
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  • 2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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